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A Note on the Pricing of American Options

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Publication:4830839
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DOI10.1137/S0040585X980221zbMATH Open1056.91027OpenAlexW2009995487MaRDI QIDQ4830839

Norbert Christopeit

Publication date: 16 December 2004

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x980221



zbMATH Keywords

optimal stoppingvalue functionamerican options


Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)



Related Items (4)

A Note on Market Completeness with American Put Options ⋮ The pricing of the American option ⋮ Title not available (Why is that?) ⋮ A note on the perpetual American straddle






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